My first certification was the CEH and it served as a great introduction to the field of penetration testing. The material was just enough to get me started. The exercises/labs looking back at them now were pretty basic
So the 'exploits' were against a windows 2000 box and if I remember correctly the exploit was the good old rpc_dcom. Point is it was nothing fancy, but at the end of the course it got me thinking about security. So everything I did from that point on was done with security in mind.
The OSCP on the other hand was a different beast. This course took it to an entire new level. So, I remember 'reading' about buffer overflows in the CEH. Well I actually did it in the OSCP. A lot of the topics covered in the CEH came to life in the OSCP. Sql injection that I had read about in the CEH, I actually got the chance to do it on several occasions. Another is example is metasploit. During the CEH, someone in the class used msf to pwn the windows 2000 server. And let me tell you I was blown away by it. Fast forward to the OSCP and I was not only using the msf but I was actually editing some of the exploits. Really getting into the guts. And where as in the CEH I could identify exploits that were say in the C programming language, in the OSCP I was editing the code.
The OSCP is also ALL YOU. No lecturers to run to. Nobody to hold your hand and spoon feed you. It can be REALLY frustrating at times. Google and the oscp irc channel become your best friend. The exam is also another thing. You have 24hrs to pwn a set of boxes that you are seeing for the first time. No multiple choice exam. So the OSCP will take your skills to the next level.
So now that you have all this 'raw' skill it now needs to be refined. Enter the Sans GPEN. This course covers the business side of things. So it takes you through setting everything up on the business side. Things like rules of engagement, various laws, establishing scope etc are covered. Really important stuff. And it also further explains some of the concepts learned in the OSCP. Rainbow tables comes to mind.
So having said ALL that you could run with the CEH and then make your way up to the OSCP.